MRCI's ScenarioSM Study

ScenarioSM Study for July Lumber(CME) as of Jan 21, 2022
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		33	40	43	44	44	45	45	45	45	45	45
Closed Higher		15	17	26	30	26	24	22	23	19	23	21
Exceeded High		8	16	21	23	24	21	19	16	15	16	10
Scenario Percentage		53%	94%	81%	77%	92%	88%	86%	70%	79%	70%	48%
Avg Max Increase		8.68%	7.98%	8.88%	8.97%	9.96%	9.43%	13.86%	19.00%	17.39%	12.38%	8.80%
Max Increase		23.27%	25.83%	51.58%	45.22%	40.42%	55.50%	79.28%	95.02%	39.21%	58.81%	33.81%
Avg Days To Max Increase		23	14	22	21	18	18	19	17	19	12	11
Avg Max Decline		-1.90%	-2.21%	-2.43%	-2.78%	-2.96%	-2.11%	-2.77%	-2.55%	-1.42%	-2.28%	-1.29%
Max Decline		-5.02%	-9.32%	-7.04%	-8.09%	-11.69%	-7.94%	-8.75%	-10.49%	-3.69%	-9.18%	-4.12%
Avg Days to Max Decline		22	9	13	11	10	9	8	13	5	5	4
2021 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		No		Yes	Yes	Yes	Yes	Yes	Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		33	40	43	44	44	45	45	45	45	45	45
Closed Lower		18	23	17	13	18	21	23	22	26	22	24
Penetrated Low		15	15	11	9	12	17	20	19	18	19	8
Scenario Percentage		83%	65%	65%	69%	67%	81%	87%	86%	69%	86%	33%
Avg Max Decline		7.90%	5.49%	4.82%	6.21%	8.84%	8.32%	11.70%	10.02%	13.76%	12.94%	11.22%
Max Decline		16.39%	12.07%	12.06%	15.43%	23.33%	23.99%	33.20%	21.31%	32.97%	60.18%	27.18%
Avg Days To Max Decline		21	15	13	11	20	18	16	16	16	14	10
Avg Max Increase		-2.21%	-3.03%	-2.31%	-2.51%	-1.38%	-3.85%	-2.36%	-2.16%	-2.95%	-2.92%	-2.25%
Max Increase		-7.91%	-12.19%	-8.45%	-11.10%	-5.17%	-15.42%	-8.46%	-8.23%	-8.46%	-8.95%	-15.31%
Avg Days to Max Increase		14	8	6	7	8	8	10	5	7	5	3
2021 Contract Condition			Yes								Yes	Yes
Action			Yes								Yes	Yes
High	450.0	638.0	578.2	464.1	550.1	689.7	770.1	809.9	890.7	1376.5	1733.5	1380.0
Low	394.0	434.0	400.5	400.0	455.0	535.2	554.2	712.0	700.6	880.0	1201.0	705.0
Close/Last	446.3	592.5	417.1	455.0	530.3	600.0	761.0	767.8	888.9	1376.5	1309.5	716.0